Dynamic Interactive Cycles during the 2008 Financial Crisis

Ioannis M. Neokosmidis, Vassilis Polimenis
DOI: 10.4236/me.2010.11001                

Abstract

This paper focuses on the analysis of the 2008 financial crisis and how it affects the global financial markets. We analyze three major markets (US, UK, and ASIA) that are represented by the levels of three broad stock indices S&P 500, FTSE 100 and Hang Seng respectively. Our methodology is based on cointegration analysis and Granger causality test in order to examine the interaction between the markets (information flows). Additionally, we study the volatility transmission based on multivariate GARCH analysis. We find significant changes in information flows before and during the financial crisis.

Keywords

Unit Root Test, Cointegration, Granger Causality, Multivariate Volatility Processes, Financial Crisis

Conflicts of Interest

The authors declare no conflicts of interest.

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